广义货币供应量与CPI变动关系研究——基于Copula函数的实证分析

An empirical study on the relationship between money supply and price level in China——Based on copula function

M2和CPI作为衡量我国国民经济的重要指标,在我国国民经济体系中有着举足轻重的作用。本文以1982-2018年的M2与CPI年度同比增长率作为研究对象,运用阿基米德Copula函数和椭圆Copula函数分析两者之间的相关性及尾部特征,发现Clayton Copula能较好地拟合M2与CPI之间的关系,从而得到两者的联合分布图像,并且M2与CPI增长率的趋势变动是一致的,大部分时间保持两者的协同运动。在央行货币政策基础上,认为需明确货币政策的目标,尊重经济运行规律;坚持稳健的货币政策,兼顾内外平衡;加大金融供给侧结构性改革,改善服务,提高效率。

M2 and CPI,as important indicators to measure China’s national economy,play an important role in China’s national economic system.This paper takes the year-on-year growth rate of M2 and CPI from 1982 to 2018 as the research object,analyzes the correlation and tail characteristics between them by using Archimedes copula function and ellipse copula function,and finds that Clayton Copula can better fit the relationship between M2 and CPI,so as to get the joint distribution image of them.The trend of M2 and CPI growth rate is the same,and most of the time keep their cooperative movement.On the basis of the monetary policy of the central bank,it is necessary to make clear the goal of monetary policy,respect the law of economic operation;adhere to the stable monetary policy,take into account the internal and external balance;increase the structural reform of the financial supply side,improve services and efficiency.